The Effect of Monetary Policy on Market Value of Stocks and Bonds Analytical Study for a Sample of Arab Gulf Countries

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1 - - Awsjwejatee@yahoo.com - - VAR AIC. The Effect of Monetary Policy on Market Value of Stocks and Bonds Analytical Study for a Sample of Arab Gulf Countries Rafiaa I. Al hamdani (PhD) Lecturer Department of Financial Sciences University of Mosul Aus F.A. Al Juaijati (PhD) Lecturer Department of Economic Sciences University of Mosul Abstract The research aims at studying the effect of the changes in currency offer in the financial markets. This has been done in a selected sample of the Arab Gulf Countries via using Granger Causality (GC) and Vector Auto Regression (VAR) tests. The results of the Causally Test showed that there is a causative relation whatsoever between the change in the currencies offer and the market value of stocks. The results of Causality Test have emphasized the validity of results gained from Auto Regression after determining the best model according to the results of (AIC) standard. It has been shown that the market value for the stocks can be affected by the changes of various values in // //

2 () / [] money offer. This may agree with the hypothesis of the research that demonstrating the change in money offers over the market value of stocks... Granger Test.VAR :.... :

3 ... [] : Granger Causality Test. : Vector Auto Regression.. ) (.(Ackley,1980,447)

4 () / [] ( +) M (Saving Units).(Fred, 1995,140) (Deficit Units ) ) ( ().(Piked & Neal, 1993, 4). Gerloff Robins (Gerloff, 1985, 31).(Robins, 1990, 31)

5 []... () Rue & Holland, 1989, ). (249.( ) -.( ) (Roos, 1996, 8). () :. : :. :. -.(Ross, et al., 1996, 264) : : :..().

6 () / [] Real ) Rate of Interest ( ( ).. () :.... Reduced form econometric model : a S + a M + b S + b M + c + St = 11 t i 12 t i 11 t 2 12 t 2 1 ξ1 t M t = a21st 1 + a21m t 1 + b21st 2B22M t 2 + c2 + ξ 2t a, b, c. M S : :. H 0 : H 1 : Granger Causality Test Vector Auto (VAR) Regrassive

7 []....- ) (. : H H : a = 0 : a 0 0 i 1 i F. Vector Auto (Gujarati, 1995, 746) Regressive. VAR : Yt = A1 y t Apy t p + Bx t + ζ t X t d K Y t B A 1..., A p

8 () / [] t (OLS) y.(hill & Griffiths, 1997, ) (Green, 2000, ) Schwarz.Eviews VAR Likelihood :VAR :Likelihood..Ys :Akaike Information Criterion (AIC)..ALC :Schwarz Criterion (Sc)..(Gujarati, 1995, ) Sc :Standard Errors. (Gujaratee, 1995,.70) 40%.. ζ

9 []... Granger VAR Granger. :. Granger Pairwise Granger Causality Tests Date: 08/26/05 Time: 01:46 Sample: 2001: :12 Lags: 8 Null Hypothesis: Obs F-Statistic Probability SHARE does not Granger Cause M M1 does not Granger Cause SHARE F F F VAR :

10 () / [] VAR Date: 08/26/05 Time: 02:19 Sample(adjusted): 2001: :12 Included observations: 28 after adjusting endpoints Standard errors & t-statistics in parentheses M1 SHARE M1(-1) ( ) ( ) ( ) ( ) M1(-2) ( ) ( ) ( ) ( ) M1(-3) ( ) ( ) ( ) ( ) M1(-4) ( ) ( ) ( ) ( ) M1(-5) ( ) ( ) ( ) ( ) M1(-6) ( ) ( ) ( ) ( ) M1(-7) ( ) ( ) ( ) ( ) M1(-8) ( ) ( ) ( ) ( ) SHARE(-1) ( ) ( ) ( ) ( ) SHARE(-2) ( ) ( ) ( ) ( ) SHARE(-3) ( ) ( ) ( ) ( ) SHARE(-4) ( ) ( ) ( ) ( ) SHARE(-5) ( ) ( ) ( ) ( ) SHARE(-6) ( ) ( ) ( ) ( ) SHARE(-7) ( ) ( ) ( ) ( )

11 []... SHARE(-8) ( ) ( ) ( ) ( ) C ( ) ( ) ( ) ( ) R-squared Adj. R-squared Sum sq. resids S.E. equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent Determinant Residual Covariance 1.92E-08 Log Likelihood Akaike Information Criteria Schwarz Criteria Schwarz Likelihood AIC - AIC Schwarz Likelihood AIC 0.05 % %1.4.

12 () / [] 0.7 j = 8 i = 1 m t i % - 0.7% j = 8 i = 1 S t i %.%0.16 Granger : Granger Pairwise Granger Causality Tests Date: 08/22/05 Time: 22:16 Sample: 2001: :12 Lags: 6 Null Hypothesis: Obs F-Statistic Probability SHAR does not Granger Cause M M1 does not Granger Cause SHAR F Probability F.

13 []... VAR : VAR Date: 08/22/05 Time: 22:54 Sample(adjusted): 2001: :12 Included observations: 30 after adjusting endpoints Standard errors & t-statistics in parentheses M1 SHAR M1(-1) ( ) ( ) ( ) ( ) M1(-2) ( ) ( ) ( ) ( ) M1(-3) ( ) ( ) ( ) ( ) M1(-4) ( ) ( ) ( ) ( ) M1(-5) ( ) ( ) ( ) ( ) M1(-6) ( ) ( ) ( ) ( ) SHAR(-1) ( ) ( ) ( ) ( ) SHAR(-2) ( ) ( ) ( ) ( ) SHAR(-3) ( ) ( ) ( ) ( ) SHAR(-4) ( ) ( ) ( ) ( ) SHAR(-5) ( ) ( ) ( ) ( ) SHAR(-6) ( ) ( ) ( ) ( ) C ( ) ( ) ( ) ( ) R-squared Adj. R-squared Sum sq. resids S.E. equation

14 () / [] F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent Determinant Residual Covariance 5.86E-07 Log Likelihood Akaike Information Criteria Schwarz Criteria Schwarz Log Likelihood AIC j = 6 i = 1 m t i %0.158 % %0.95. % Granger F :

15 []... Granger Pairwise Granger Causality Tests Date: 12/16/05 Time: 21:19 Sample: 2001: :12 Lags: 2 Null Hypothesis: Obs F-Statistic Probability M1 does not Granger Cause S S1 does not Granger Cause M VAR Schwarz Likelihood AIC AIC Likelihood % j = 2 m t i i = 1. %0.778 : VAR Date: 12/16/05 Time: 21:21 Sample(adjusted): 2001: :12 Included observations: 34 after adjusting endpoints Standard errors & t-statistics in parentheses S1 M1 S1(-1) ( ) ( ) ( ) ( ) S1(-2) ( ) ( ) ( ) ( ) M1(-1) ( ) ( ) ( ) ( ) M1(-2) ( ) ( ) ( ) ( )

16 () / [] C ( ) ( ) ( ) ( ) R-squared Adj. R-squared Sum sq. resides S.E. equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent Determinant Residual Covariance 2.67E-06 Log Likelihood Akaike Information Criteria Schwarz Criteria Granger VAR. VAR FeedBack.

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